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Study On Asset Allocation For Private Banking Clients Based On The Black-Litterman Model

Posted on:2016-02-25Degree:MasterType:Thesis
Country:ChinaCandidate:J N WangFull Text:PDF
GTID:2349330470984577Subject:Finance
Abstract/Summary:PDF Full Text Request
Since its rise in Europe hundreds years ago, private banking has developed into one of the most significant three bussinese that bank runs, the other two are commercial banking and investment banking. As China has turned into the most potential wealth management market, private banking becomes the focus of domestic and foreign banking institutions. Meanwhile, prompted by financial reform and interest rate liberalization, private banking has been a imperative direction of domestic banking strategic transformation, on the account of traditional bussineses are likely not sustainable. Asset management process is the kernel of private banking services. As the critical step of financial risk identification and control, asset allocation is a vital component of private banking asset management services. Private banks should develop their asset allocation technique when provide HNWIs with asset management services. However, there are few research about the asset allocation of private banking services. Based on this, the paper starts with the asset allocation and begin to study the development of private banking asset management capability, on the basis of previous studies.Firstly, the development and competitiveness of private banking asset management services overseas is recommended with a brief summary, followed by the present condition analysis and trend forecast of domestic private banking asset management services.The analysis indicates the importance of asset allocation for the development of private banking asset management services. For the purpose of following research, a asset allocation model of private bank clients is constructed based on the Black-Litterman model.Then, an empirical test on the asset allocation model of private bank clients is conducted, under the actural state of domestic private banking asset management. It turns out that the model achieve better effect on risk management than the traditional Mean-Variance model. Besides, an asset yield viewpoint forecast model is constructed, on the basis of macroeconomic index and time series analysis tools.In the end, combined with the reality of domestic private banking asset management services, the trend of wealth management industry, and the earlier research on the asset allocation model of private bank clients, the paper conclude some relevant inspirations and suggestions on private bank clients'asset allocation.
Keywords/Search Tags:private banking, asset allocation, asset management, high net worth individuals, Black-Litterman model
PDF Full Text Request
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